Multivariate Time Series Models for Asset Prices

DOI10.1007/978-3-642-17254-0_5zbMath1229.91134OpenAlexW1771810283MaRDI QIDQ3112455

Christian M. Hafner, Hans Manner

Publication date: 10 January 2012

Published in: Handbook of Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-17254-0_5

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Uses Software

• CAViaR

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